Senior Market & Liquidity Risk Analyst – Ref: AB13666

Reporting to the Quantitative and Credit Risk Manager within the broader Risk & Compliance team, the Senior Market & Liquidity Risk Analyst will help the firm effectively oversee the balance sheet management of the business, particularly focusing on the Treasury desk and strategic investments. This will include (but is not limited to) measurement, monitoring and reporting of interest rate risk (IRRBB), liquidity risk and market risk. £Exc + bens and bonus.

Roles & Responsibilities

  • Day to day risk control responsibilities including, but not limited to, monitoring of Value at Risk (VaR), Interest rate risk (using indicators such as Economic Value of Equity or Earnings at Risk), liquidity risk (e.g. LCR, NSFR and OLAR) and other metrics such as the bank’s leverage ratio. Investigation of risk exceptions and trends to provide insight on risk exposures, capital or liquidity adequacy.

  • Interact and collaborate with the Treasury Desk, Financial Planning & Reporting team and Group Risk and Finance functions as needed to refine analyses, understand trades and risk trends, investigate risk exceptions and communicate important findings.

  • Develop risk modelling methodologies. This may require manually building reports or prototypes to provide proof of concept before tools are implemented in the production environment.

  • Lead, support or oversee validation of models used for estimating risk (e.g. VaR, EV and EaR), scenario modelling (e.g. OLAR) and preparing COREP returns.

  • Reviewing relevant PRA policy statements and requirements and ensuring the risk management framework remains adequate.

  • Leading or participating into the ICAAP, ILAAP and Recovery Planning.

  • Communicate methodologies and results within the Risk team and prepare reports and presentation material to governance forums such as the Asset & Liability Committee or Board Audit & Risk Oversight Committee.

Experience & Qualifications

  • 5 to 7 years’ experience within financial services, ideally a bank.

  • Strong knowledge of asset liabilities management (ALM).

  • Expertise in managing market and liquidity risk.

  • Leading and/or participating into ICAAP or ILAAP

  • Experience managing financial risks across various asset classes such as FX, rates, credit derivatives, equities, bonds and money markets.

  • Experience interpreting regulatory requirements related to balance sheet management and implementing the relevant risk framework.

  • Attendance or membership of asset & liability committee(s).

  • In-depth knowledge and understanding of prudential regulation, the BASEL framework, CRD and CRR.

  • Use of capital and liquidity modelling tools or risk analytics software (e.g. Bloomberg PORT, APT, MSCI, Axioma, Aladdin, Northfield, Murex, Calypso, Polypaths).

  • Highly numerate, good understanding of mathematical / statistical concepts.

  • Programming skills (VBA, SQL, MATLAB, R or Python) preferred.

To hear more about this exciting opportunity, please contact Alex Brown on 020 7847 8878 or email your CV to http://alex@meredithbrown.com

Please note: that due to the high volume of applicants responding to our adverts we are regrettably not able to feed back on all applications; only successful candidates will be contacted.